Symposium on Long Memory

Monday 27 June

Arrival at CREATES during the morning. CREATES is located on 2 floor of Building 1326. Office space will be available for participants.

Conference venue: Aarhus University, Fredrik Nielsens Vej 4, ­­1421, Meeting Room 1

12.00-13.00 Lunch (Kaffestue I)

13.00-14.30 Presentation Session I

Peter Robinson, London School of Economics
"The estimation of misspecified long memory models"

Phillip Sibbertsen, Leibniz University Hannover
"Hypothesis testing under unknown order of fractional integration" (with Bent-Jesper Christensen and Robinson Kruse).

Morten Ø. Nielsen, Queen's University and CREATES
"Asymptotics for the conditional-sum-of-squares estimator in fractional time series models"

14.30-15.30 Coffee

15.30-17.00 Presentation Session II

Natalia Sizova, Rice University
"Long-horizon return regressions with long-memory variables"

Daniela Osterrieder, CREATES
"Risk and return: long-run relationships, cointegration, and return predictability" (with Tim Bollerslev, George Tauchen, and Natalia Sizova).

Rasmus Varneskov, CREATES
"Combining long memory and level shifts in modeling and forecasting of persistent time series" (with Pierre Perron)

Tuesday 28 June

Venue: Aarhus University, Fredrik Nielsens Vej 4, Building 1421, Meeting Room 1

9.30-10.30 Presentation Session III

Søren Johansen, University of Copenhagen and CREATES
"Likelihood inference for a fractionally cointegrated vector autoregressive model" (with Morten Ø. Nielsen)

Katarzyna ?asak, CREATES
"Fractional cointegration rank estimation" (with Carlos Velasco)

10.30-11.00 Coffee

11.00-12.00 Presentation Session IV

Javier Hualde, Public University of Navarra
"First stage estimation of fractional cointegration"

Rocco Mosconi, Politechnico di Milano
"Applying the bivariate FVAR model to ultra high frequency financial data: some methodological issues" (with Federico Carlini, CREATES)

12.00-14.30 Lunch (Preben Hornung Stuen)

14.30-15.30 Presentation Session V

Joerg Breitung, University of Bonn
"Inference in dynamic regression models with persistent regressors" (with Matei Demetrescu)

Paulius Stakenes, University of Amsterdam
"Fractional cointegration analysis via autoregeressive approximation"

16.45-17.00 Bus departure to Marselisborg Harbour: “Sculpture by the Sea Cruise”

17.00-17.15 Bus from Radisson to harbour

20.00-22.00 Conference dinner at Restaurant Navigator

Wednesday 29 June

Venue: CREATES, Building 1324, auditorium 025

9.30-10.30 Presentation Session VI

James Davidson, University of Exeter
"A test of the long memory hypothesis based on self-similarity"

Robinson Kruse, CREATES
"Discriminating between true and spurious long memory processes: a new test based on non-linear transformations” (with Niels Haldrup and Frank Nielsen, CREATES)

10.30-11.00 Coffee

11.00-12.00 Presentation Session VII

Paolo Santucci de Magistris, CREATES
"When long memory meets the Kalman filter: a comparative study" (with Stefano Grassi, CREATES)

Carlos Velasco, University Carlos III Madrid
"Fractional integrated panel data models" (with Peter Robinson)

12.00-13.00 Lunch

End of symposium